diff --git a/.idea/compiler.xml b/.idea/compiler.xml new file mode 100644 index 00000000..38033fb2 --- /dev/null +++ b/.idea/compiler.xml @@ -0,0 +1,20 @@ + + + + + + + + + + + + + + + + + + + + \ No newline at end of file diff --git a/.idea/encodings.xml b/.idea/encodings.xml new file mode 100644 index 00000000..6860377a --- /dev/null +++ b/.idea/encodings.xml @@ -0,0 +1,25 @@ + + + + + + + + + + + + + + + + + + + + + + + + + \ No newline at end of file diff --git a/.idea/jarRepositories.xml b/.idea/jarRepositories.xml new file mode 100644 index 00000000..712ab9d9 --- /dev/null +++ b/.idea/jarRepositories.xml @@ -0,0 +1,20 @@ + + + + + + + + + + + \ No newline at end of file diff --git a/.idea/misc.xml b/.idea/misc.xml new file mode 100644 index 00000000..9dc782bb --- /dev/null +++ b/.idea/misc.xml @@ -0,0 +1,12 @@ + + + + + + + + \ No newline at end of file diff --git a/.idea/vcs.xml b/.idea/vcs.xml new file mode 100644 index 00000000..35eb1ddf --- /dev/null +++ b/.idea/vcs.xml @@ -0,0 +1,6 @@ + + + + + + \ No newline at end of file diff --git a/algo-exercise/README.md b/algo-exercise/README.md index 25c4f64e..e2db0201 100644 --- a/algo-exercise/README.md +++ b/algo-exercise/README.md @@ -8,7 +8,8 @@ The objective of this challenge is to write a simple trading algo that creates a **Stretch objective:** write an algo that can make money buy buying shares when the order book is cheaper, and selling them when the order book is more expensive. -Note: make sure you think about how the market data could change over time, add scenarios into your test to show how you've tested those scenarios. +##### Note +Make sure you think about how the market data could change over time, add scenarios into your test to show how you've tested those scenarios. ### How to Get Started @@ -16,6 +17,13 @@ Note: make sure you think about how the market data could change over time, add 1. The project requires Java version 17 or higher +##### Note +This project is configured for Java 17. If you have a later version installed, it will compile and run successfully, but you may see warnings in the log like this, which you can safely ignore: + +```sh +[WARNING] system modules path not set in conjunction with -source 17 +``` + #### Opening the project 1. Fork this repo in GitHub and clone it to your local machine @@ -24,7 +32,7 @@ Note: make sure you think about how the market data could change over time, add 4. Navigate to the [MyAlgoTest.java](https://github.com/cbfacademy/trading-algorithm-assessment/blob/main/algo-exercise/getting-started/src/test/java/codingblackfemales/gettingstarted/MyAlgoTest.java) and [MyAlgoLogic.java](https://github.com/cbfacademy/trading-algorithm-assessment/blob/main/algo-exercise/getting-started/src/main/java/codingblackfemales/gettingstarted/MyAlgoLogic.java) 5. You're ready to go! -#### Note +##### Note You will first need to run the Maven `install` task to make sure the binary encoders and decoders are installed and available for use. You can use the provided Maven wrapper or an installed instance of Maven, either in the command line or from the IDE integration. To get started, run the following command from the project root: `./mvnw clean install`. Once you've done this, you can compile or test specific projects using the `--projects` flag, e.g.: @@ -94,10 +102,3 @@ Please see, if you're unsure how to run maven in your setup: * (https://maven.apache.org/guides/getting-started/maven-in-five-minutes.html) * (https://www.jetbrains.com/help/idea/maven-support.html) * (https://code.visualstudio.com/docs/java/java-build#_execute-maven-commands-and-goals) - - - - - - - diff --git a/algo-exercise/algo/src/main/java/codingblackfemales/algo/PassiveAlgoLogic.java b/algo-exercise/algo/src/main/java/codingblackfemales/algo/PassiveAlgoLogic.java index 59594b9b..c84ece9d 100644 --- a/algo-exercise/algo/src/main/java/codingblackfemales/algo/PassiveAlgoLogic.java +++ b/algo-exercise/algo/src/main/java/codingblackfemales/algo/PassiveAlgoLogic.java @@ -27,7 +27,7 @@ public Action evaluate(SimpleAlgoState state) { final BidLevel nearTouch = state.getBidAt(0); long quantity = 75; - long price = nearTouch.price; + long price = nearTouch.price - 1L; //until we have three child orders.... if(state.getChildOrders().size() < 3){ diff --git a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/AskBookSide.java b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/AskBookSide.java index b802f971..e8a3bc88 100644 --- a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/AskBookSide.java +++ b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/AskBookSide.java @@ -1,71 +1,19 @@ package codingblackfemales.orderbook; +import codingblackfemales.orderbook.visitor.FilteringOrderBookVisitor; import codingblackfemales.orderbook.visitor.MutatingAddOrderVisitor; +import codingblackfemales.orderbook.visitor.OrderBookVisitor; import org.slf4j.Logger; import org.slf4j.LoggerFactory; +import java.util.Comparator; + public class AskBookSide extends OrderBookSide { private static final Logger logger = LoggerFactory.getLogger(AskBookSide.class); - private final MutatingAddOrderVisitor addOrderVisitor = new MutatingAddOrderVisitor(); - -// public void onBookUpdate(BookUpdateDecoder bookUpdate){ -// removeMarketDataOrders(); -// addAskMarketDataOrders(bookUpdate); -// } -// -// public void onAskBook(AskBookUpdateDecoder askBook){ -// removeMarketDataOrders(); -// addAskMarketDataOrders(askBook); -// } - - @Override - MutatingAddOrderVisitor getAddOrderVisitor() { - return addOrderVisitor; - } - - boolean isBetweenLevels(OrderBookLevel previous, OrderBookLevel next, long price){ - return previous != null && next != null && previous.getPrice() < price && next.getPrice() > price; + public AskBookSide() { + super(Comparator.naturalOrder()); } - boolean isNewDeepestLevel(OrderBookLevel previous, OrderBookLevel next, long price){ - return previous != null && next == null && previous.getPrice() < price; - } -// -// public void addAskMarketDataOrders(AskBookUpdateDecoder askDecoder){ -// for(AskBookUpdateDecoder.AskBookDecoder decoder : askDecoder.askBook()) { -// final long price = decoder.price(); -// final long quantity = decoder.size(); -// var marketOrder = new MarketDataOrderFlyweight(Side.SELL, price, quantity); -// logger.debug("[ORDERBOOK] ASK: Adding order" + marketOrder); -// -// //if(canMatch(marketOrder) -// -// addMarketDataOrder(marketOrder); -// } -// } -// -// public void addAskMarketDataOrders(BookUpdateDecoder bookUpdateDecoder){ -// for(BookUpdateDecoder.AskBookDecoder decoder : bookUpdateDecoder.askBook()) { -// final long price = decoder.price(); -// final long quantity = decoder.size(); -// var marketOrder = new MarketDataOrderFlyweight(Side.SELL, price, quantity); -// logger.debug("[ORDERBOOK] ASK: Adding order" + marketOrder); -// addMarketDataOrder(marketOrder); -// } -// } -// -// public void createMarketDataOrders(BookUpdateDecoder bookUpdateDecoder){ -// for(BookUpdateDecoder.AskBookDecoder decoder : bookUpdateDecoder.askBook()) { -// final long price = decoder.price(); -// final long quantity = decoder.size(); -// var marketOrder = new MarketDataOrderFlyweight(Side.SELL, price, quantity); -// logger.debug("[ORDERBOOK] ASK: Adding order" + marketOrder); -// addMarketDataOrder(marketOrder); -// } -// } - - - } diff --git a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/BidBookSide.java b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/BidBookSide.java index 0c82afde..da051b1b 100644 --- a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/BidBookSide.java +++ b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/BidBookSide.java @@ -1,57 +1,19 @@ package codingblackfemales.orderbook; +import codingblackfemales.orderbook.visitor.FilteringOrderBookVisitor; import codingblackfemales.orderbook.visitor.MutatingAddOrderVisitor; +import codingblackfemales.orderbook.visitor.OrderBookVisitor; import org.slf4j.Logger; import org.slf4j.LoggerFactory; +import java.util.Comparator; + public class BidBookSide extends OrderBookSide{ private static final Logger logger = LoggerFactory.getLogger(BidBookSide.class); - private final MutatingAddOrderVisitor addOrderVisitor = new MutatingAddOrderVisitor(); - -// public void onBidBook(BidBookUpdateDecoder bidBook) { -// removeMarketDataOrders(); -// AddBidMarketDataOrders(bidBook); -// } -// -// public void onBookUpdate(BookUpdateDecoder bookUpdate) { -// removeMarketDataOrders(); -// addBidkMarketDataOrders(bookUpdate); -// } - - @Override - MutatingAddOrderVisitor getAddOrderVisitor() { - return addOrderVisitor; - } - - boolean isBetweenLevels(OrderBookLevel previous, OrderBookLevel next, long price){ - return previous != null && next != null && previous.getPrice() > price && next.getPrice() < price; + protected BidBookSide() { + super(Comparator.reverseOrder()); } - - boolean isNewDeepestLevel(OrderBookLevel previous, OrderBookLevel next, long price){ - return previous != null && next == null && previous.getPrice() > price; - } -// -// void AddBidMarketDataOrders(BidBookUpdateDecoder bidDecoder){ -// for(BidBookUpdateDecoder.BidBookDecoder decoder : bidDecoder.bidBook()) { -// final long price = decoder.price(); -// final long quantity = decoder.size(); -// var marketOrder = new MarketDataOrderFlyweight(Side.BUY, price, quantity); -// logger.debug("[ORDERBOOK] BID: Adding order " + marketOrder); -// addMarketDataOrder(marketOrder); -// } -// } -// -// private void addBidkMarketDataOrders(BookUpdateDecoder bookUpdateDecoder){ -// for(BookUpdateDecoder.AskBookDecoder decoder : bookUpdateDecoder.askBook()) { -// final long price = decoder.price(); -// final long quantity = decoder.size(); -// var marketOrder = new MarketDataOrderFlyweight(Side.BUY, price, quantity); -// logger.debug("[ORDERBOOK] BID: Adding order " + marketOrder); -// addMarketDataOrder(marketOrder); -// } -// } - - } + diff --git a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBook.java b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBook.java index b4edbe59..cb332ae8 100644 --- a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBook.java +++ b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBook.java @@ -86,7 +86,7 @@ private void addOrMatchAskMarketDataOrders(AskBookUpdateDecoder askBookUpdateDec for(AskBookUpdateDecoder.AskBookDecoder decoder : askBookUpdateDecoder.askBook()) { final long price = decoder.price(); final long quantity = decoder.size(); - var marketOrder = new MarketDataOrderFlyweight(Side.SELL, price, quantity); + var marketOrder = new MarketDataOrderFlyweight(Side.BUY, price, quantity); logger.debug("[ORDERBOOK] ASK: Adding order" + marketOrder); if(canMatch(Side.SELL, price)){ matchMarketDataOrder(marketOrder); @@ -96,8 +96,8 @@ private void addOrMatchAskMarketDataOrders(AskBookUpdateDecoder askBookUpdateDec } } - private void addOrMatchBidMarketDataOrders(BidBookUpdateDecoder askBookUpdateDecoder){ - for(BidBookUpdateDecoder.BidBookDecoder decoder : askBookUpdateDecoder.bidBook()) { + private void addOrMatchBidMarketDataOrders(BidBookUpdateDecoder bidBookUpdateDecoder){ + for(BidBookUpdateDecoder.BidBookDecoder decoder : bidBookUpdateDecoder.bidBook()) { final long price = decoder.price(); final long quantity = decoder.size(); var marketOrder = new MarketDataOrderFlyweight(Side.SELL, price, quantity); diff --git a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBookSide.java b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBookSide.java index dad7f9ba..2e32b653 100644 --- a/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBookSide.java +++ b/algo-exercise/backtest/src/main/java/codingblackfemales/orderbook/OrderBookSide.java @@ -7,8 +7,11 @@ import codingblackfemales.orderbook.visitor.MutatingRemoveAllMarketDataOrdersVisitor; import codingblackfemales.orderbook.visitor.OrderBookVisitor; +import java.util.Comparator; + public abstract class OrderBookSide { private OrderBookLevel firstLevel; + private final MutatingAddOrderVisitor addOrderVisitor = new MutatingAddOrderVisitor(); private final MutatingRemoveAllMarketDataOrdersVisitor removeMarketDataOrderVisitor = new MutatingRemoveAllMarketDataOrdersVisitor(); @@ -24,6 +27,12 @@ public void setFirstLevel(OrderBookLevel level) { firstLevel = level; } + private final Comparator comparator; + + protected OrderBookSide(Comparator comparator) { + this.comparator = comparator; + } + public void accept(final OrderBookVisitor visitor){ visitor.visitSide(this); @@ -31,14 +40,17 @@ public void accept(final OrderBookVisitor visitor){ var levelToVisit = getFirstLevel(); //are we the first level... - if(levelToVisit == null){ + if(isNewFirstLevel(levelToVisit, visitor)){ OrderBookLevel level = visitor.onNoFirstLevel(); if(level != null) { + if(levelToVisit != null) { + levelToVisit.insertFirst(levelToVisit, level); + } setFirstLevel(level); level.accept(visitor, this); } return; - }else{ + }else { visitOneLevel(visitor, levelToVisit, levelToVisit.next()); } @@ -58,7 +70,8 @@ private void visitOneLevel(final OrderBookVisitor visitor, OrderBookLevel levelT if (priceToFind == levelToVisit.getPrice()) { levelToVisit.accept(visitor, this); } else if (isBetweenLevels(levelToVisit, nextLevel, priceToFind)) { - visitor.missingBookLevel(levelToVisit, nextLevel, priceToFind); + OrderBookLevel level = visitor.missingBookLevel(levelToVisit, nextLevel, priceToFind); + levelToVisit.insertAfter(levelToVisit,level, nextLevel); } else if (isNewDeepestLevel(levelToVisit, nextLevel, priceToFind)) { OrderBookLevel level = visitor.missingBookLevel(levelToVisit, nextLevel, priceToFind); levelToVisit.last().add(level); @@ -68,11 +81,30 @@ private void visitOneLevel(final OrderBookVisitor visitor, OrderBookLevel levelT } } + MutatingAddOrderVisitor getAddOrderVisitor() { + return addOrderVisitor; + } + boolean isNewFirstLevel(OrderBookLevel currentFirst, OrderBookVisitor visitor) { + if(currentFirst == null) { + return true; + } - abstract boolean isBetweenLevels(OrderBookLevel previous, OrderBookLevel next, long price); + if( visitor instanceof FilteringOrderBookVisitor) { + return comparator.compare(((FilteringOrderBookVisitor) visitor).getPrice(), currentFirst.getPrice()) == -1; + } else { + return false; + } + } + + boolean isBetweenLevels(OrderBookLevel previous, OrderBookLevel next, long price){ + return previous != null && next != null && comparator.compare(previous.getPrice(), price) == -1 && comparator.compare(next.getPrice() , price) == 1; + } + + boolean isNewDeepestLevel(OrderBookLevel previous, OrderBookLevel next, long price){ + return previous != null && next == null && comparator.compare(previous.getPrice(), price) == -1; + } - abstract boolean isNewDeepestLevel(OrderBookLevel previous, OrderBookLevel next, long price); void removeMarketDataOrders(){ this.accept(removeMarketDataOrderVisitor); @@ -88,6 +120,4 @@ void addLimitOrder(LimitOrderFlyweight order){ this.accept(this.getAddOrderVisitor()); } - abstract MutatingAddOrderVisitor getAddOrderVisitor(); - } diff --git a/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/AddCancelAlgoBackTest.java b/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/AddCancelAlgoBackTest.java index 985bee82..6fcda86e 100644 --- a/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/AddCancelAlgoBackTest.java +++ b/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/AddCancelAlgoBackTest.java @@ -15,12 +15,15 @@ import codingblackfemales.sequencer.net.TestNetwork; import codingblackfemales.service.MarketDataService; import codingblackfemales.service.OrderService; +import codingblackfemales.sotw.ChildOrder; import messages.marketdata.*; import org.agrona.concurrent.UnsafeBuffer; import org.junit.Test; import java.nio.ByteBuffer; +import static org.junit.Assert.assertEquals; + public class AddCancelAlgoBackTest extends SequencerTestCase { private final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder(); @@ -123,10 +126,10 @@ public void testExampleBackTest() throws Exception { send(createSampleMarketDataTick2()); //then: get the state - //var state = container.getState(); - //long filledQuantity = state.getChildOrders().stream().map(ChildOrder::getFilledQuantity).reduce(Long::sum).get(); + var state = container.getState(); + long filledQuantity = state.getChildOrders().stream().map(ChildOrder::getFilledQuantity).reduce(Long::sum).get(); //and: check that our algo state was updated to reflect our fills when the market data - //assertEquals(225, filledQuantity); + assertEquals(100, filledQuantity); } } diff --git a/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/PassiveAlgoBackTest.java b/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/PassiveAlgoBackTest.java index 96992ff2..6727d494 100644 --- a/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/PassiveAlgoBackTest.java +++ b/algo-exercise/backtest/src/test/java/codingblackfemales/backtest/PassiveAlgoBackTest.java @@ -130,6 +130,6 @@ public void testExampleBackTest() throws Exception { long filledQuantity = state.getChildOrders().stream().map(ChildOrder::getFilledQuantity).reduce(Long::sum).get(); //and: check that our algo state was updated to reflect our fills when the market data - assertEquals(225, filledQuantity); + assertEquals(0, filledQuantity); } } diff --git a/algo-exercise/backtest/src/test/java/codingblackfemales/orderbook/OrderBookVisitorTest.java b/algo-exercise/backtest/src/test/java/codingblackfemales/orderbook/OrderBookVisitorTest.java index 38cfe436..fc9babb4 100644 --- a/algo-exercise/backtest/src/test/java/codingblackfemales/orderbook/OrderBookVisitorTest.java +++ b/algo-exercise/backtest/src/test/java/codingblackfemales/orderbook/OrderBookVisitorTest.java @@ -11,6 +11,62 @@ public class OrderBookVisitorTest { + @Test + public void testInsertAtFirstLevelForAskBook(){ + + final AskBookSide side = new AskBookSide(); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.SELL, 1100, 21_000)); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.SELL, 1000, 10_500)); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.SELL, 1200, 35_000)); + + + assertEquals(1000L, side.getFirstLevel().getPrice()); + assertEquals(1100L, side.getFirstLevel().next().getPrice()); + assertEquals(1200L, side.getFirstLevel().next().next().getPrice()); + + assertEquals(10_500L, side.getFirstLevel().getQuantity()); + assertEquals(21_000L, side.getFirstLevel().next().getQuantity()); + assertEquals(35_000L, side.getFirstLevel().next().next().getQuantity()); + + side.removeMarketDataOrders(); + + assertNull(side.getFirstLevel()); + + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.SELL, 1000, 11_500)); + + assertEquals(1000L, side.getFirstLevel().getPrice()); + assertEquals(11_500L, side.getFirstLevel().getQuantity()); + assertNull(side.getFirstLevel().next()); + } + + @Test + public void testInsertAtFirstLevelForBidBook(){ + + final BidBookSide side = new BidBookSide(); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.BUY, 1100, 21_000)); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.BUY, 1000, 10_500)); + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.BUY, 1200, 35_000)); + + + assertEquals(1200L, side.getFirstLevel().getPrice()); + assertEquals(1100L, side.getFirstLevel().next().getPrice()); + assertEquals(1000L, side.getFirstLevel().next().next().getPrice()); + + assertEquals(35_000L, side.getFirstLevel().getQuantity()); + assertEquals(21_000L, side.getFirstLevel().next().getQuantity()); + assertEquals(10_500L, side.getFirstLevel().next().next().getQuantity()); + + side.removeMarketDataOrders(); + + assertNull(side.getFirstLevel()); + + side.addMarketDataOrder(new MarketDataOrderFlyweight(Side.BUY, 1000, 11_500)); + + assertEquals(1000L, side.getFirstLevel().getPrice()); + assertEquals(11_500L, side.getFirstLevel().getQuantity()); + assertNull(side.getFirstLevel().next()); + } + @Test public void testMarketDataAddRemovalVisitor(){ diff --git a/algo-exercise/collection/src/main/java/codingblackfemales/collection/intrusive/IntrusiveLinkedListNode.java b/algo-exercise/collection/src/main/java/codingblackfemales/collection/intrusive/IntrusiveLinkedListNode.java index f097d6c9..6afa5541 100644 --- a/algo-exercise/collection/src/main/java/codingblackfemales/collection/intrusive/IntrusiveLinkedListNode.java +++ b/algo-exercise/collection/src/main/java/codingblackfemales/collection/intrusive/IntrusiveLinkedListNode.java @@ -62,6 +62,28 @@ private void linkPreviousAndNext(){ if (previous != null) { previous.next = next; } + + if(next != null) { + next.previous = previous; + } + } + + + public void insertFirst(TYPEOF self, TYPEOF level) { + level.next = self; + this.previous = level; + + setFirst(level); + level.last = this.last; + setSize(size()+1); + } + + public void insertAfter(TYPEOF self, TYPEOF current, TYPEOF next) { + self.next = current; + current.previous = self; + current.next = next; + next.previous = current; + setSize(size()+1); } private void setFirst(TYPEOF first) { diff --git a/algo-exercise/sequencer/src/main/java/codingblackfemales/sequencer/util/MessageUtil.java b/algo-exercise/sequencer/src/main/java/codingblackfemales/sequencer/util/MessageUtil.java index a01134e0..ad997c2f 100644 --- a/algo-exercise/sequencer/src/main/java/codingblackfemales/sequencer/util/MessageUtil.java +++ b/algo-exercise/sequencer/src/main/java/codingblackfemales/sequencer/util/MessageUtil.java @@ -19,49 +19,48 @@ public static String padLeft(String s, int n) { public static String bookUpdateToString(BookUpdateDecoder decoder){ final StringBuilder builder = new StringBuilder(); - builder.append(padLeft("|----ASK-----", 12) + "|" + "\n"); - final BookUpdateDecoder.AskBookDecoder askBookDecoder = decoder.askBook(); + final BookUpdateDecoder.BidBookDecoder bidBookDecoder = decoder.bidBook(); - int maxLevels = askBookDecoder.count(); + int maxLevels = bidBookDecoder.count();// Math.max(askBookDecoder.count(), bidBookDecoder.count()); - for(int i=0; i { + + return ( +
+ ... the interesting stuff foes here +
+ ) + +} +``` + +MarketDepthFeature.css + +``` +.MarketDepth { + + background: yellow; + height: 100%; + +} +``` diff --git a/ui-front-end/README.md b/ui-front-end/README.md index e1cdc89d..999c8970 100644 --- a/ui-front-end/README.md +++ b/ui-front-end/README.md @@ -1,30 +1,216 @@ -# React + TypeScript + Vite +# Coding Black Females - UI Exercise - build a Depth of Market View -This template provides a minimal setup to get React working in Vite with HMR and some ESLint rules. +# Setting up yout dev environment -Currently, two official plugins are available: +## install pre-requisites - all you need is node.js -- [@vitejs/plugin-react](https://github.com/vitejs/vite-plugin-react/blob/main/packages/plugin-react/README.md) uses [Babel](https://babeljs.io/) for Fast Refresh -- [@vitejs/plugin-react-swc](https://github.com/vitejs/vite-plugin-react-swc) uses [SWC](https://swc.rs/) for Fast Refresh +well, technically you need `npm` too, but that ships as part of node.js -## Expanding the ESLint configuration +For any references to version numbers below, just use the latest available, e.g today the latest v20 is v20.17.0, the minor numbers don't matter much, just take the latest -If you are developing a production application, we recommend updating the configuration to enable type aware lint rules: +For our UI exercise, Node.js version required: 18+ -- Configure the top-level `parserOptions` property like this: +Stable Node versions are the even-numbered ones. Although latest available version is 22, the current default is version 20. If you do not already have Node installed, I would recommend v20 . If you already have v18, that will be fine. If you have an older version than 18, it might be ok if its not too much older, but some of the modern build tools might require a more recent version. Try it - if you can follow the instructions below with no errors, its ok. -```js -export default { - // other rules... - parserOptions: { - ecmaVersion: 'latest', - sourceType: 'module', - project: ['./tsconfig.json', './tsconfig.node.json', './tsconfig.app.json'], - tsconfigRootDir: __dirname, - }, +check your version of node from the command line ... + +```bash +node -v +``` + +If you need to, download Node from the official site +https://nodejs.org/en + +## Get the code for the UI exercise + +Pull down latest code, everything you need for the UI exercise is in the folder `ui-front-end`, +This is a `vite` project, meaning it was created with the `npm create vite` command and has vite build tools installed. see https://vitejs.dev/guide/ for more info. + +## install dependencies + +Use `ui-front-end` as your working folder (i.e. open that folder in VSCode). +From the root (i.e from within `ui-front-end`), install dependencies ... + +``` + npm install +``` + +or same thing, more succinctly + +``` +npm i +``` + +This will download all the dependencies (declared in package.json) and save them in a local `node_modules` folder within `ui-front-end` + +## Run the App + +There is a "scripts" section in package.json, these are npm scripts that you can run from the command line (in VSCode you can also run them from the "NPM SCRIPTS" section at the bottom of the `Explorer` panel) . These are standard scripts, created when vite first initialised the project + +YOU ONLY NEED TO DO THE FIRST OF THE STEPS BELOW, THE REST SHOWN JUST FOR COMPLETENESS + +- Run the vite dev server, which will host the app on http://localhost:5173, with full Hot Module Loading (change the source code, app will be updated automatically]) + +```bash +npm run dev +``` + +You should see output with a link to tell you that app is running on localhost:5173. You will be able to open http://localhost:5173 in your browser (google Chrome recommended) + +For future reference ... + +- Build the app, does a 'production' build - output will go in the `dist` folder + +``` +npm run build +``` + +- launch the app using production build, will host app on http://localhost:4173 + +``` +npm run preview +``` + +Note: mostly you will be using `npm run dev` to run the dev server, or as most developers would describe it, you will be running in dev mode. + +Finally, if you want to run the linter (eslint) across the codebase - you will see how clean your types are. Note not having your types perfectly defined will NOT stop the app from running. It is possible for the app to run perfectly correctly even when the types are wrong. Remember, types are there to help you in the IDE, they do not affect the running code. + +```bash +npm run lint +``` + +## What is the aim of the exercise + +Run the app, using `npm run dev` + +You will see a table of data in the upper half of the screen. Below is a Placeholder with a button that will show you a screenshot of a `Market Depth` component. The aim is to actually +build a component like the one in the screenshot. The data is provided for you, see instructions below. + +## Where do I begin the exercise + +Within the `src` folder, all your work will live inside the `market-depth` folder. +You will remove the component and replace it with a component (which you will create). + +There area two commented out import statements at the top of MarketDepthFeature.tsx + +```typescript +import { useMarketDepthData } from "./useMarketDepthData"; +import { schemas } from "../../data/algo-schemas"; +``` + +and a corresponding usage of this react `hook` and the schemas + +```typescript +const data = useMarketDepthData(schemas.prices); +``` + +You will begin by uncommenting these. These will provide you with the data that will be rendered in the new MarketDepthFeature component. This data will refresh very frequently. + +## Steps to start the exercise + +1. MarketDepthFeature.tsx , uncomment the block of static data on lines 6 - 17 +2. still in MarketDepthFeature.tsx, delete on line 24 +3. create a new File MarketDepthPanel.tsx +4. In this new file export a new component, called MarketDepthPanel, the overall structure will look something like this + +```typescript +interface MarketDepthPanelProps { + data: MarketDepthRow[]; } + +export const MarketDepthPanel = (props: MarketDepthPanelProps) => { + console.log({ props }); + return
; +}; ``` -- Replace `plugin:@typescript-eslint/recommended` to `plugin:@typescript-eslint/recommended-type-checked` or `plugin:@typescript-eslint/strict-type-checked` -- Optionally add `plugin:@typescript-eslint/stylistic-type-checked` -- Install [eslint-plugin-react](https://github.com/jsx-eslint/eslint-plugin-react) and add `plugin:react/recommended` & `plugin:react/jsx-runtime` to the `extends` list +5. Back in MarketDepthFeature.tsx, import the new component and use it + +```typescript +import {MarketDepthPanel} from './MarketDepthPanel'; + +return + +``` + +6. Fill out the content of the table in MarketDepthPanel, building the appropriate rows,columns +7. Add a CSS file MarketDepthPanel.css, import it in MarketDepthPanel.tsx + +```typescript +import "./MarketDepthPanel.css"; +``` + +8. give the table a className that tou can reference in the css file + +```typescript +
+``` + +9. then, in the css file ... + +```css +.MarketDepthPanel { + /*... your css here */ +} +``` + +10. When you have the structure of the table completed, you can add a component for the Price cell, create a new file PriceCell.tsx +11. The structure will be something like this + +``` + +export interface PriceCellProps { + price: number; +} + +export const PriceCell = (props: PriceCellProps) => { + const {price} = props; + return ( + {price} + ) +} + +``` + +12. then you can use this component in your table + +``` +import {PriceCell} from './PriceCell'; + +return ( + + + + + + ... rest of td ... + + ... rest of tr ... +
+) +``` + +### Example of useRef hook + +This is the example I showed in StackBlitz, this was the ShowDirection component. The usage of useRef +here should serve as an example of how you could implement the PriceCell component + +```typescript +import { useRef } from "react"; + +interface ShowDirectionProps { + value: number; +} + +export const ShowDirection = (props: ShowDirectionProps) => { + const lastValueRef = useRef(props.value); + + const diff = props.value - lastValueRef.current; + + lastValueRef.current = props.value; + + console.log(`diff = ${diff}`); + + return
{`Show Direction diff = ${diff}`}
; +}; +``` diff --git a/ui-front-end/Screen Recording 2024-09-23 at 11.02.21.mov b/ui-front-end/Screen Recording 2024-09-23 at 11.02.21.mov new file mode 100644 index 00000000..73826793 Binary files /dev/null and b/ui-front-end/Screen Recording 2024-09-23 at 11.02.21.mov differ diff --git a/ui-front-end/package-lock.json b/ui-front-end/package-lock.json deleted file mode 100644 index 695246f1..00000000 --- a/ui-front-end/package-lock.json +++ /dev/null @@ -1,3337 +0,0 @@ -{ - "name": "algo-prices", - "version": "0.0.0", - "lockfileVersion": 3, - "requires": true, - "packages": { - "": { - "name": "algo-prices", - "version": "0.0.0", - "dependencies": { - "@vuu-ui/vuu-data-remote": "0.8.81", - "@vuu-ui/vuu-data-test": "0.8.81", - "@vuu-ui/vuu-datatable": "0.8.81", - "@vuu-ui/vuu-icons": "0.8.81", - "@vuu-ui/vuu-shell": "0.8.81", - "@vuu-ui/vuu-table": "0.8.81", - "@vuu-ui/vuu-theme": "0.8.81", - "@vuu-ui/vuu-utils": "0.8.81", - "react": "^18.3.1", - "react-dom": "^18.3.1" - }, - "devDependencies": { - 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+14,7 @@ "@vuu-ui/vuu-datatable": "0.8.81", "@vuu-ui/vuu-data-test": "0.8.81", "@vuu-ui/vuu-icons": "0.8.81", + "@vuu-ui/vuu-layout": "0.8.81", "@vuu-ui/vuu-shell": "0.8.81", "@vuu-ui/vuu-table": "0.8.81", "@vuu-ui/vuu-theme": "0.8.81", diff --git a/ui-front-end/src/components/market-depth/MarketDepthFeature.tsx b/ui-front-end/src/components/market-depth/MarketDepthFeature.tsx index 80f399b7..6fb946a1 100644 --- a/ui-front-end/src/components/market-depth/MarketDepthFeature.tsx +++ b/ui-front-end/src/components/market-depth/MarketDepthFeature.tsx @@ -1,8 +1,25 @@ import { Placeholder } from "../placeholder"; +//import { useMarketDepthData } from "./useMarketDepthData"; +//import { schemas } from "../../data/algo-schemas"; + +// prettier-ignore +// const testData: MarketDepthRow[] = [ +// { symbolLevel:"1230", level: 0, bid: 1000, bidQuantity: 500, offer: 1010, offerQuantity: 700 }, +// { symbolLevel:"1231", level: 1, bid: 990, bidQuantity: 700, offer: 1012, offerQuantity: 400 }, +// { symbolLevel:"1232", level: 2, bid: 985, bidQuantity: 1200, offer: 1013, offerQuantity: 800 }, +// { symbolLevel:"1233", level: 3, bid: 984, bidQuantity: 1300, offer: 1018, offerQuantity: 750 }, +// { symbolLevel:"1234", level: 4, bid: 970, bidQuantity: 800, offer: 1021, offerQuantity: 900 }, +// { symbolLevel:"1235", level: 5, bid: 969, bidQuantity: 700, offer: 1026, offerQuantity: 1500 }, +// { symbolLevel:"1236", level: 6, bid: 950, bidQuantity: 750, offer: 1027, offerQuantity: 1500 }, +// { symbolLevel:"1237", level: 7, bid: 945, bidQuantity: 900, offer: 1029, offerQuantity: 2000 }, +// { symbolLevel:"1238", level: 8, bid: 943, bidQuantity: 500, offer: 1031, offerQuantity: 500 }, +// { symbolLevel:"1239", level: 9, bid: 940, bidQuantity: 200, offer: 1024, offerQuantity: 800 }, +// ]; /** * TODO */ export const MarketDepthFeature = () => { + // const data = useMarketDepthData(schemas.prices); return ; }; diff --git a/ui-front-end/src/components/market-depth/useMarketDepthData.ts b/ui-front-end/src/components/market-depth/useMarketDepthData.ts new file mode 100644 index 00000000..ee55cc23 --- /dev/null +++ b/ui-front-end/src/components/market-depth/useMarketDepthData.ts @@ -0,0 +1,91 @@ +import { SubscribeCallback, TableSchema } from "@vuu-ui/vuu-data-types"; +import { useCallback, useMemo, useState } from "react"; +import { VuuDataRow } from "@vuu-ui/vuu-protocol-types"; +import { ColumnMap, buildColumnMap } from "@vuu-ui/vuu-utils"; +import { useDataSource } from "@vuu-ui/vuu-shell"; + +export type MarketDepthRow = { + symbolLevel: string; + offer: number; + offerQuantity: number; + bid: number; + bidQuantity: number; + level: number; +}; + +const byLevel = ( + { level: levelA }: MarketDepthRow, + { level: levelB }: MarketDepthRow +) => (levelA > levelB ? 1 : -1); + +class MarketPriceLevelStore { + #data: Map = new Map(); + #columnMap: ColumnMap; + constructor(columnMap: ColumnMap) { + this.#columnMap = columnMap; + console.log({ columnMap }); + } + + get data() { + return Array.from(this.#data.values()).sort(byLevel); + } + + toMarketDepthRow = (vuuRow: VuuDataRow): MarketDepthRow => { + return { + symbolLevel: vuuRow[this.#columnMap.symbolLevel] as string, + level: vuuRow[this.#columnMap.level] as number, + bidQuantity: vuuRow[this.#columnMap.bidQuantity] as number, + bid: vuuRow[this.#columnMap.bid] as number, + offer: vuuRow[this.#columnMap.offer] as number, + offerQuantity: vuuRow[this.#columnMap.offerQuantity] as number, + }; + }; + + update(vuuData: VuuDataRow[]) { + const marketDepthRows = vuuData.map(this.toMarketDepthRow); + marketDepthRows.forEach((row) => { + this.#data.set(row.symbolLevel, row); + }); + } +} + +export const useMarketDepthData = (schema: TableSchema) => { + const [, forceUpdate] = useState(null); + const dataStore = useMemo(() => { + const columnMap = buildColumnMap(schema.columns); + return new MarketPriceLevelStore(columnMap); + }, [schema.columns]); + + const { VuuDataSource } = useDataSource(); + + const datasourceMessageHandler: SubscribeCallback = useCallback( + (message) => { + console.log({ message }); + if (message.type === "viewport-update") { + if (message.rows) { + dataStore.update(message.rows); + forceUpdate({}); + } + } + }, + [dataStore] + ); + + useMemo(() => { + const ds = new VuuDataSource({ + table: { module: "ALGO", table: "prices" }, + }); + ds.subscribe( + { + columns: schema.columns.map((col) => col.name), + range: { from: 0, to: 10 }, + sort: { sortDefs: [{ column: "level", sortType: "A" }] }, + }, + datasourceMessageHandler + ); + + return ds; + }, [VuuDataSource, datasourceMessageHandler, schema.columns]); + + return dataStore.data; +}; diff --git a/ui-front-end/src/data/MarketDataGenerator.ts b/ui-front-end/src/data/MarketDataGenerator.ts index f81d9dad..925c7efa 100644 --- a/ui-front-end/src/data/MarketDataGenerator.ts +++ b/ui-front-end/src/data/MarketDataGenerator.ts @@ -1,44 +1,18 @@ -import { buildDataColumnMap, Table } from "@vuu-ui/vuu-data-test"; +import { Table } from "@vuu-ui/vuu-data-test"; import { VuuRange } from "@vuu-ui/vuu-protocol-types"; -import { generateMarketDepth, nextRandomDouble, random } from "./data-utils"; -import { TableSchema } from "@vuu-ui/vuu-data-types"; +import { generateMarketDepth } from "./data-utils"; + +const UPDATE_FREQUENCY = 250; interface UpdateGenerator { setTable: (table: Table) => void; setRange: (range: VuuRange) => void; } -const getNewValue = (value: number) => { - const multiplier = random(0, 100) / 1000; - const direction = random(0, 10) >= 5 ? 1 : -1; - return value + value * multiplier * direction; -}; - export class MarketDataGenerator implements UpdateGenerator { private table: Table | undefined; private range: VuuRange | undefined; private updating = false; - private timer: number | undefined; - #tickingColumns: { [key: string]: number }; - #keyIdx: number; - - constructor(schema: TableSchema) { - const { - [schema.key]: keyIdx, - bid, - bidQuantity, - offer, - offerQuantity, - } = buildDataColumnMap({ prices: schema }, "prices"); - - this.#keyIdx = keyIdx; - this.#tickingColumns = { - bid, - bidQuantity, - offer, - offerQuantity, - }; - } setRange(range: VuuRange) { this.range = range; @@ -56,14 +30,6 @@ export class MarketDataGenerator implements UpdateGenerator { this.update(); } - private stopUpdating() { - this.updating = false; - if (this.timer) { - window.clearTimeout(this.timer); - this.timer = undefined; - } - } - update = () => { if (this.range && this.table) { const updatedMarketData = generateMarketDepth("VOD.L"); @@ -73,7 +39,7 @@ export class MarketDataGenerator implements UpdateGenerator { } if (this.updating) { - this.timer = window.setTimeout(this.update, 250); + window.setTimeout(this.update, UPDATE_FREQUENCY); } }; } diff --git a/ui-front-end/src/data/pricesTable.ts b/ui-front-end/src/data/pricesTable.ts index f1e7f07d..4964a11a 100644 --- a/ui-front-end/src/data/pricesTable.ts +++ b/ui-front-end/src/data/pricesTable.ts @@ -27,7 +27,7 @@ const { bid, bidQuantity, offer, offerQuantity } = buildDataColumnMap( schemas, "prices" ); -const updateGenerator = new MarketDataGenerator(schemas.prices); +const updateGenerator = new MarketDataGenerator(); export const pricesTable = new Table( schemas.prices, diff --git a/ui-front-end/src/layoutJSON.ts b/ui-front-end/src/layoutJSON.ts index ed886bc5..f0894770 100644 --- a/ui-front-end/src/layoutJSON.ts +++ b/ui-front-end/src/layoutJSON.ts @@ -1,9 +1,11 @@ import { registerComponent } from "@vuu-ui/vuu-utils"; import { MarketDepthFeature } from "./components/market-depth"; import { PricesTable } from "./components/prices-table"; +import { Flexbox } from "@vuu-ui/vuu-layout"; registerComponent("MarketDepthFeature", MarketDepthFeature, "view"); registerComponent("PricesTable", PricesTable, "view"); +registerComponent("Flexbox", Flexbox, "container"); export const layoutJSON = { type: "Flexbox", diff --git a/ui-front-end/src/main.tsx b/ui-front-end/src/main.tsx index 56e8f7bf..0a435970 100644 --- a/ui-front-end/src/main.tsx +++ b/ui-front-end/src/main.tsx @@ -1,4 +1,3 @@ -import React from "react"; import ReactDOM from "react-dom/client"; import App from "./App.tsx"; import { TestDataProvider } from "./data/TestDataProvider.tsx"; @@ -8,9 +7,7 @@ import "@vuu-ui/vuu-theme/index.css"; import "./index.css"; ReactDOM.createRoot(document.getElementById("root")!).render( - - - - - + + + );